优化货币组合

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学术论文

超越套息交易:最优货币组合

作者Pedro Barroso; Pedro Santa‐Clara

机构
  • Universidade Católica Portuguesa
  • CATÓLICA-LISBON School of Business & Economics
  • UNSW Australia Business School, School of Banking and Finance
  • National Bureau of Economic Research
  • Universidade Nova de Lisboa
  • Centre for Economic Policy Research
  • University of Lisbon
  • Centre for Economic Policy Research (CEPR)
  • National Bureau of Economic Research (NBER)
  • Nova School of Business and Economics
  • New University of Lisbon - Nova School of Business and Economics

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、EFA、EWJ、GLD、TLT。再平衡:每月。Universe: SPY, EFA, EWJ, GLD, TLT. Parameters: rebalance=monthly.